Strategy Zoo / S0311
LongTermTrend_V0311
ARCHIVEDhybridstructuralreplaced exit rule with: breakout_252 == 1; added entry filter: macd_hist > -2.6055
Fitness
0.4463
Generation
14
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.085
Children (0)
None
Strategy Logic (pseudocode)
# LongTermTrend_V0311 [hybrid]
if flat and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.1997 and macd_hist > -2.6055):
position = 1.0
if long and breakout_252 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 34.3% | 19.8% | 36.4% | 30.8% |
| Total Return | 952.6% | 71.8% | 214.5% | 5044.6% |
| Sharpe | 0.84 | 0.61 | 0.83 | 0.76 |
| Sortino | 1.24 | 0.86 | 1.31 | 1.11 |
| Calmar | 0.65 | 0.27 | 0.70 | 0.42 |
| Volatility | 49.0% | 68.3% | 56.3% | 55.4% |
| Max DD | -52.8% | -73.4% | -52.0% | -73.7% |
| Win Rate | 95.4% | 94.6% | 100.0% | 94.7% |
| Avg Win | 4.1% | 5.2% | 18.1% | 4.5% |
| Avg Loss | -1.1% | -0.1% | 0.0% | -6.3% |
| Payoff | 3.80 | 10.00 | 5.00 | 0.72 |
| Expectancy | 3.9% | 4.9% | 18.1% | 4.0% |
| Profit Factor | 10.00 | 10.00 | 5.00 | 10.00 |
| Trades | 65 | 37 | 11 | 113 |
| Avg Holding Days | 30.9 | 12.6 | 66.8 | 31.0 |
| Turnover | 16.4 | 25.0 | 6.2 | 15.5 |
| Exposure | 96.7% | 95.0% | 98.0% | 96.7% |
Growth of $100
LongTermTrend_V0311 vs TSLA Buy & Hold
LongTermTrend_V0311 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | -4.4% | 0.07 | -35.8% | 0 |
| 2017 | 30.8% | 0.94 | -20.4% | 13 |
| 2018 | 3.7% | 0.35 | -34.0% | 0 |
| 2019 | 25.0% | 0.70 | -48.5% | 4 |
| 2020 | 340.5% | 2.24 | -59.9% | 28 |
| 2021 | 11.0% | 0.46 | -36.5% | 8 |
| 2022 | -69.4% | -1.48 | -72.7% | 0 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 267 | 73.5% | 1.15 | 100% |
| hidden test | EXPENSIVE | 83 | 99.9% | 1.59 | 90% |
| hidden test | EXTREME | 48 | 180.6% | 3.33 | 85% |
| hidden test | HIGH VOLATILITY | 254 | 139.2% | 1.83 | 94% |
| hidden test | LOW VOLATILITY | 429 | 33.9% | 0.82 | 100% |
| hidden test | MEDIUM VOLATILITY | 248 | -25.7% | -0.47 | 99% |
| hidden test | NORMAL | 800 | 33.2% | 0.60 | 100% |
| hidden test | SIDEWAYS | 293 | -34.6% | -0.68 | 100% |
| hidden test | UPTREND | 371 | 91.8% | 1.67 | 95% |
| train | DOWNTREND | 518 | -20.5% | -0.41 | 100% |
| train | EXPENSIVE | 311 | 73.7% | 1.48 | 91% |
| train | EXTREME | 100 | 391.0% | 5.65 | 76% |
| train | HIGH VOLATILITY | 699 | 78.9% | 1.22 | 96% |
| train | LOW VOLATILITY | 745 | 37.8% | 1.14 | 96% |
| train | MEDIUM VOLATILITY | 568 | 0.0% | 0.00 | 98% |
| train | NORMAL | 1,601 | 13.3% | 0.28 | 99% |
| train | SIDEWAYS | 592 | 43.2% | 0.89 | 100% |
| train | UPTREND | 902 | 75.8% | 1.56 | 93% |
| validation | DOWNTREND | 125 | -107.7% | -1.57 | 100% |
| validation | EXPENSIVE | 138 | 26.5% | 0.35 | 91% |
| validation | EXTREME | 144 | 292.6% | 3.88 | 85% |
| validation | HIGH VOLATILITY | 258 | 84.7% | 0.92 | 95% |
| validation | LOW VOLATILITY | 183 | 44.4% | 1.24 | 97% |
| validation | MEDIUM VOLATILITY | 315 | 4.2% | 0.07 | 94% |
| validation | NORMAL | 474 | -30.6% | -0.48 | 99% |
| validation | SIDEWAYS | 206 | -39.5% | -0.64 | 100% |
| validation | UPTREND | 425 | 124.5% | 1.75 | 91% |
Trades (full period)
latest 100 of 114
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-18 | — | $483.37 | — | -22.22% | 188 | OPEN |
| 2024-12-19 | 2025-12-17 | $436.17 | $467.26 | 11.08% | 249 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 7.11% | 9 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2021-11-05 | 2024-10-28 | $407.36 | $262.51 | -34.47% | 748 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-01-27 | 2021-10-22 | $288.05 | $303.23 | 1.03% | 188 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-09-02 | 2020-11-20 | $149.12 | $163.20 | 4.88% | 57 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.07% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 4.82% | 4 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-22 | 2020-08-17 | $106.16 | $122.38 | 5.04% | 19 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 9.27% | 3 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.12% | 4 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 10.77% | 14 | |
| 2020-06-10 | 2020-06-11 | $68.34 | $64.86 | 8.76% | 2 | |
| 2020-02-21 | 2020-06-09 | $60.07 | $62.71 | 5.41% | 76 | |
| 2020-02-06 | 2020-02-20 | $49.93 | $59.96 | 24.62% | 10 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-27 | 2020-01-30 | $37.20 | $42.72 | 2.66% | 4 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.52% | 5 | |
| 2020-01-09 | 2020-01-14 | $32.09 | $35.86 | 6.43% | 4 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 3.68% | 2 | |
| 2019-12-27 | 2020-01-06 | $28.69 | $30.10 | 2.60% | 6 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 1.24% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.18% | 2 | |
| 2019-12-18 | 2019-12-19 | $26.21 | $26.94 | 3.53% | 2 | |
| 2017-09-20 | 2019-12-17 | $24.93 | $25.27 | 1.50% | 565 | |
| 2017-06-26 | 2017-09-19 | $25.17 | $25.01 | 0.20% | 60 | |
| 2017-06-15 | 2017-06-23 | $25.02 | $25.56 | 0.31% | 7 | |
| 2017-06-09 | 2017-06-14 | $23.82 | $25.38 | 1.40% | 4 | |
| 2017-06-07 | 2017-06-08 | $23.98 | $24.67 | 1.73% | 2 | |
| 2017-06-01 | 2017-06-06 | $22.69 | $23.52 | 1.65% | 4 | |
| 2017-05-12 | 2017-05-31 | $21.65 | $22.73 | 3.51% | 13 | |
| 2017-05-02 | 2017-05-11 | $21.26 | $21.54 | 0.54% | 8 | |
| 2017-04-27 | 2017-05-01 | $20.58 | $21.52 | 1.05% | 3 | |
| 2017-04-12 | 2017-04-26 | $19.79 | $20.68 | 1.44% | 10 | |
| 2017-04-05 | 2017-04-11 | $19.67 | $20.58 | 2.65% | 5 | |
| 2017-02-15 | 2017-04-04 | $18.65 | $20.25 | 6.03% | 34 | |
| 2017-02-13 | 2017-02-14 | $18.71 | $18.73 | 4.02% | 2 | |
| 2014-09-08 | 2017-02-10 | $18.81 | $17.95 | -3.14% | 613 | |
| 2014-09-03 | 2014-09-05 | $18.75 | $18.49 | 0.47% | 3 | |
| 2014-08-29 | 2014-09-02 | $17.98 | $18.94 | 2.01% | 2 | |
| 2014-08-27 | 2014-08-28 | $17.55 | $17.59 | 0.38% | 2 | |
| 2014-08-19 | 2014-08-26 | $17.12 | $17.45 | 0.80% | 6 | |
| 2014-08-15 | 2014-08-18 | $17.47 | $17.33 | 0.04% | 2 | |
| 2014-08-13 | 2014-08-14 | $17.35 | $17.43 | -0.07% | 2 | |
| 2014-03-06 | 2014-08-12 | $16.86 | $17.33 | 2.43% | 111 | |
| 2014-02-28 | 2014-03-05 | $16.32 | $16.84 | 0.71% | 4 | |
| 2014-02-26 | 2014-02-27 | $16.87 | $16.84 | 1.81% | 2 | |
| 2014-02-24 | 2014-02-25 | $14.51 | $16.53 | 3.64% | 2 | |
| 2014-02-20 | 2014-02-21 | $14.00 | $13.97 | 8.22% | 2 | |
| 2014-02-18 | 2014-02-19 | $13.58 | $12.91 | 2.56% | 2 | |
| 2014-02-12 | 2014-02-14 | $13.02 | $13.22 | 1.33% | 3 | |
| 2013-10-01 | 2014-02-11 | $12.87 | $13.11 | 1.45% | 92 | |
| 2013-09-27 | 2013-09-30 | $12.73 | $12.89 | 1.00% | 2 | |
| 2013-09-23 | 2013-09-26 | $12.07 | $12.58 | 0.81% | 4 | |
| 2013-09-06 | 2013-09-20 | $11.13 | $12.23 | 4.49% | 11 | |
| 2013-09-04 | 2013-09-05 | $11.37 | $11.33 | 0.79% | 2 | |
| 2013-08-28 | 2013-09-03 | $11.10 | $11.26 | 0.99% | 4 | |
| 2013-08-26 | 2013-08-27 | $10.95 | $11.13 | 1.27% | 2 | |
| 2013-08-12 | 2013-08-23 | $9.83 | $10.79 | 2.47% | 10 | |
| 2013-08-07 | 2013-08-09 | $8.95 | $10.20 | 7.75% | 3 | |
| 2013-08-05 | 2013-08-06 | $9.65 | $9.48 | 4.64% | 2 | |
| 2013-07-31 | 2013-08-02 | $8.95 | $9.20 | 2.69% | 3 | |
| 2013-07-15 | 2013-07-30 | $8.48 | $8.78 | 3.42% | 12 | |
| 2013-07-11 | 2013-07-12 | $8.37 | $8.66 | 2.53% | 2 | |
| 2013-07-09 | 2013-07-10 | $8.23 | $8.15 | 1.31% | 2 | |
| 2013-07-03 | 2013-07-08 | $7.68 | $8.11 | 1.72% | 3 | |
| 2013-05-30 | 2013-07-02 | $7.00 | $7.85 | 11.77% | 24 | |
| 2013-05-28 | 2013-05-29 | $7.36 | $6.98 | 13.44% | 2 | |
| 2013-05-20 | 2013-05-24 | $6.00 | $6.47 | 1.14% | 5 | |
| 2013-05-15 | 2013-05-17 | $5.66 | $6.10 | 10.60% | 3 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 14.17% | 2 | |
| 2013-05-08 | 2013-05-10 | $3.72 | $5.12 | 24.77% | 3 |